This paper investigates the process determining mutual funds' conditional probability of closure, i.e. their hazard function. Using a nonparametric approach to estimate the effects of a fund's age on its hazard rate, we find a distinctly nonlinear, inverse U-shaped pattern in the relationship....

This paper investigates the process determining mutual funds' conditional probability of closure, i.e. their hazard function. Using a nonparametric approach to estimate the effects of a fund's age on its hazard rate, we find a distinctly nonlinear, inverse U-shaped pattern in the relationship....

This paper investigates the process determining mutual funds conditional probability of closure, i.e. their hazard function. Using a nonparmetric approach to estimate the effects of a funds age on its hazard rate, we find a distinctly nonlinear, inverse U-shaped pattern in the relationship....

Realised kernels use high frequency data to estimate daily volatility of individual stock prices. They can be applied to either trade or quote data. Here we provide the details of how we suggest implementing them in practice. We compare the estimates based on trade and quote data for the same...

This paper shows how to use realised kernels to carry out efficient feasible inference on the ex-post variation of underlying equity prices in the presence of simple models of market frictions. The issue is subtle with only estimators which have symmetric weights delivering consistent estimators...

We analyze the effects of non-synchronicity and market microstructure noise on realized covariance type estimators. It is shown that non-synchronicity leads to severe biases, whenever synchronization methods that employ last-tick interpolation are used. We study a simple estimator which resolves...

We examine moving average (MA) filters for estimating the integrated variance of a financial asset price in a framework where high frequency price data are contaminated with marketmicrostructure noise. We show that the sum of squared MA residuals needs to be scaled for it to be a suitable...